Thanks for your suggestion.
This is a quite simple bug or maybe not even a bug but implemented by design. For me it was an issue: I had a shortcut placed on my desktop pointing to my local website folder (xampp). Creating a shortcut with WinSCP for my website (session manager -> create desktop icon) overrode my old shortcut because it was named the same (my domain name). This maybe by design, as WinSCP tries to replace an old shortcut created by itself named the same but wasn't really the way I expected it to work.
A solution could be to append something like " - WinSCP" to the new shortcut (preventing replacing independent existing shortcuts) or ask when a shortcut with the name already exists.